alternative models of adaptive and near-rational expectations - classification by bootstrap filter论文.pdf

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ALTERNA TIVE MODELS OF ADAPTIVE AND NEAR-RATIONAL
EXPECTA TIONS - CLASSIFICA TION BY BOOTSTRAP FILTER
Jan Stecha*, Jirf Trinkewitz*, Osvald Vasicek**, Martin Fukac**
* Faculty of Electrical Engineering, Czech Technical University, Charles Square 13,
121 35 Prague, Czech Republic, e-mail: ******@.******@
** Faculty of Economics and Administration, Masaryk University, Lipova 41a,
65979 Bmo, Czech Republic, e-mail: ******@.******@
Abstract: The problem of deciding between alternative hypotheses is common. There
may exist two or more theories on a model background or parameter values and the data
should determine which alternative is the most plausible. In case one of these models is
nonlinear, the Monte Carlo approach should be used